2 papers
q-fin.PM2019
Learning Threshold-Type Investment Strategies with Stochastic Gradient Method
Zsolt Nika, Miklós Rásonyi
In online portfolio optimization the investor makes decisions based on new, continuously incoming information on financial assets (typically their prices). In our study we consider…
math.PR2014
Strong approximation of Black--Scholes theory based on simple random walks
Zsolt Nika, Tamás Szabados
A basic model in financial mathematics was introduced by Black, Scholes and Merton in 1973 (BSM model). A classical discrete approximation in distribution is the binomial model giv…